Facebook has a private messaging (e-mail) feature that allows you to send messages to a single friend or group of friends privately. Only the recipients you specify will be able to see the message. As soon as you open a message, it is automatically marked as read. If you want it to look like you have not opened the message, you can mark it as unread.
Log into your Facebook account.
Click on the "Messages" link on the left side of the screen.
Click on the circle with the white centre next to the message that you want to mark as unread. It is located next to the date on the right side of the message.The circle will change to blue and the message will be marked as unread.
You can also mark an opened message as unread by clicking on the "Actions" drop-down menu at the top of the screen and choosing the "Mark as Unread" option.